Holography encodes the three dimensional (3D) information of a sample in the form of an intensity-only recording. However, to decode the original sample image from its hologram(s), auto-focusing and phase-recovery are needed, which are in general cumbersome and time-consuming to digitally perform. Here we demonstrate a convolutional neural network (CNN) based approach that simultaneously performs auto-focusing and phase-recovery to significantly extend the depth-of-field (DOF) in holographic image reconstruction. For this, a CNN is trained by using pairs of randomly de-focused back-propagated holograms and their corresponding in-focus phase-recovered images. After this training phase, the CNN takes a single back-propagated hologram of a 3D sample as input to rapidly achieve phase-recovery and reconstruct an in focus image of the sample over a significantly extended DOF. This deep learning based DOF extension method is non-iterative, and significantly improves the algorithm time-complexity of holographic image reconstruction from O(nm) to O(1), where n refers to the number of individual object points or particles within the sample volume, and m represents the focusing search space within which each object point or particle needs to be individually focused. These results highlight some of the unique opportunities created by data-enabled statistical image reconstruction methods powered by machine learning, and we believe that the presented approach can be broadly applicable to computationally extend the DOF of other imaging modalities.